DMs (and GMs, by extension) have been compared to many different things by a thousand blogs and books and guides. I'm fairly certain I've never heard anyone make this comparison, so its time for me to do it. It seems extremely apt to me; the DM must create the illusion of an extremely deep world out of something that is in actuality very shallow. Performing this trick successfully is, itself, a con. You need to have the mental dexterity and the foresight of a someone pulling a long, continuous con whereby the players begin to get the feeling that the world they're interacting with really exists. You are the conduit through which it can be accessed. No one is capable of that much detail, no matter how much of their time they put into it... and yet, good DMs are capable of at least providing their players enough to suspend their disbelief.
What does a good con-artist require? Attention to detail. The same thing that a good film requires. If you can see the boom mike, or your clothes look too cheap for who you're supposed to be, then your audience (an actual audience and the people you're trying to con, respectively) will know that you're full of shit. If players see a flaccid world that has no details, if they dig and find that its only cardboard-thin, they'll likewise realize that they're playing a game without depth. The best compliment anyone has ever given me was that the world they played in "felt real." Not that the pacing of the session was great, or that the combat was exciting (though they often comment that they feel like there's ice in their bowels every time combat starts, which to me is another kind of victory) but that the world feels like a real place.
This ties in to the unique encounter tables that I talked about on Friday—they help to give the appearance of realism by featuring individual events that are more properly tailored to their environment than the standard d100 roll resulting in goblins. Of course, even when I roll a group of 4d6 goblins there are some mental gymnastics required to figure out what they're up to when the PCs meet them, if they have prisoners, etc. So even there, on a normal, standard encounter check, there are chances to show off the set. Let the players thump the facades and pry into the back rooms—just be sure you're either fast enough to fill in what's back there or have planned in advance.
This is why maps, histories, NPCs, encounter tables, and other such things are best planned out in advance. They reduce the amount of shilly-shallying the DM needs to do at the table to provide a "living" world. This is also why notes that never get used are important—those dungeons the PCs never went into? They were real dungeons that existed for them, that they knew where legitimate options. Of course, you can always stop the game and say that you don't have enough notes to continue... but that's admission that the con is breaking down. The best thing to do is have the notes prepared. The worst thing to do is to try to bar them access from places you aren't ready to display. Even stopping the game is better than that.
Remember: your players want to be fooled. They want you to be the best DM they've ever had. Just convince them that they're right.